MACENIE EMERGING MARETS BOND INDE ETF (CAD-HEDGED) · 2021. 1. 14. · Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent

MACKENZIE EMERGING MARKETS BOND INDEX ETF (CAD-HEDGED)

TRADITIONAL FIXED INCOME INDEX ETFANNUAL AUDITED FINANCIAL STATEMENTS | March 31, 2020

Management’s Responsibility for Financial Reporting

The accompanying financial statements have been prepared by Mackenzie Financial Corporation, as Manager of Mackenzie Emerging Markets Bond Index ETF (CAD-Hedged) (the “ETF”). The Manager is responsible for the integrity, objectivity and reliability of the data presented. This responsibility includes selecting appropriate accounting principles and making judgments and estimates consistent with International Financial Reporting Standards. The Manager is also responsible for the development of internal controls over the financial reporting process, which are designed to provide reasonable assurance that relevant and reliable financial information is produced.

The Board of Directors (the “Board”) of Mackenzie Financial Corporation is responsible for reviewing and approving the financial statements and overseeing the Manager’s performance of its financial reporting responsibilities. The Board is assisted in discharging this responsibility by an Audit Committee, which reviews the financial statements and recommends them for approval by the Board. The Audit Committee also meets regularly with the Manager, internal auditors and external auditors to discuss internal controls over the financial reporting process, auditing matters and financial reporting issues.

Deloitte LLP is the external auditor of the ETF. It is appointed by the Board. The external auditor has audited the financial statements in accordance with Canadian generally accepted auditing standards to enable it to express to the securityholders its opinion on the financial statements. Its report is set out below.

On behalf of Mackenzie Financial Corporation, Manager of the ETF

Barry McInerney President and Chief Executive Officer

Terry Rountes Chief Financial Officer, Funds

July 13, 2020

MANAGEMENT REPORT

INDEPENDENT AUDITOR’S REPORT

To the Securityholders of Mackenzie Emerging Markets Bond Index ETF (CAD-Hedged) (the “ETF”)

Opinion

We have audited the financial statements of the ETF, which comprise the statement of financial position as at March 31, 2020, and the statements of comprehensive income, changes in financial position and cash flows for the period then ended, as indicated in Note 1, and notes to the financial statements, including a summary of significant accounting policies (collectively referred to as the “financial statements”).

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the ETF as at March 31, 2020, and its financial performance and its cash flows for the period then ended, as indicated in Note 1, in accordance with International Financial Reporting Standards (“IFRS”).

Basis for Opinion

We conducted our audit in accordance with Canadian generally accepted auditing standards (“Canadian GAAS”). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the ETF in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other Information

Management is responsible for the other information which comprises the Management Report of Fund Performance.

Our opinion on the financial statements does not cover the other information and we do not and will not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated.

We obtained the Management Report of Fund Performance prior to the date of this auditor’s report. If, based on the work we have performed on this other information, we conclude that there is a material misstatement of this other information, we are required to report that fact in this auditor’s report. We have nothing to report in this regard.

Responsibilities of Management and Those Charged with Governance for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with IFRS, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.


TRADITIONAL FIXED INCOME INDEX ETFANNUAL AUDITED FINANCIAL STATEMENTS | March 31, 2020

INDEPENDENT AUDITOR’S REPORT (cont’d)

In preparing the financial statements, management is responsible for assessing the ETF’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate the ETF or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the ETF’s financial reporting process.

Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian GAAS will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with Canadian GAAS, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the ETF’s internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ETF’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the ETF to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, related safeguards.

The engagement partner on the audit resulting in this independent auditor’s report is Mervyn Ramos.

Chartered Professional AccountantsLicensed Public AccountantsToronto, OntarioJuly 13, 2020


TRADITIONAL FIXED INCOME INDEX ETF

The accompanying notes are an integral part of these financial statements.

In thousands (except per unit figures) As at March 31

STATEMENT OF FINANCIAL POSITION

2020 $

ASSETSCurrent assetsInvestments at fair value 468,353 Cash and cash equivalents – Accrued interest receivable 7,281 Accounts receivable for investments sold 32,146 Accounts receivable for units issued 4,276 Unrealized gains on derivative contracts 7,449 Total assets 519,505

LIABILITIESCurrent liabilitiesBank indebtedness 510 Accounts payable for investments purchased 7,247 Accounts payable for units redeemed – Due to manager 166 Unrealized losses on derivative contracts 33,231 Total liabilities 41,154 Net assets attributable to unitholders 478,351Net assets attributable to unitholders per series (note 3)

Series E 478,351Net assets attributable to unitholders per unit (note 3)

Series E 86.19

STATEMENT OF COMPREHENSIVE INCOME

For the period ended March 31 (note 1) In thousands (except per unit figures)

2020 $

IncomeInterest income 10,287 Other changes in fair value of investments and other net assets

Net realized gain (loss) (11,222)Net unrealized gain (loss) (66,198)

Other 1,304 Total income (loss) (65,829)

Expenses (note 6)Management fees 977 Management fee rebates (765)Interest charges 12 Commissions and other portfolio transaction costs 29 Independent Review Committee fees – Expenses before amounts absorbed by Manager 253 Expenses absorbed by Manager – Net expenses 253 Increase (decrease) in net assets attributable to unitholders from operations before tax (66,082)

Foreign withholding taxes – Foreign income taxes paid (recovered) – Increase (decrease) in net assets attributable to unitholders from operations (66,082)

Increase (decrease) in net assets attributable to unitholders from operations per series

Series E (66,082)Increase (decrease) in net assets attributable to unitholders from operations per unit

Series E (22.53)

ANNUAL AUDITED FINANCIAL STATEMENTS | March 31, 2020




STATEMENT OF CHANGES IN FINANCIAL POSITION

For the period ended March 31 (note 1) In thousands

2020 Series E

NET ASSETS ATTRIBUTABLE TO UNITHOLDERS $Beginning of period – Increase (decrease) in net assets from operations (66,082)Distributions paid to unitholders:

Investment income (8,361)Capital gains – Management fee rebates (765)

Total distributions paid to unitholders (9,126)Unit transactions:

Proceeds from units issued 562,834 Reinvested distributions – Payments on redemption of units (9,275)

Total unit transactions 553,559 Total increase (decrease) in net assets 478,351 End of period 478,351

Increase (decrease) in units (note 7): UnitsUnits outstanding – beginning of period – Issued 5,650 Reinvested distributions – Redeemed (100)Units outstanding – end of period 5,550





STATEMENT OF CASH FLOWS

For the period ended March 31 (note 1) In thousands

2020 $

Cash flows from operating activitiesNet increase (decrease) in net assets attributable to unitholders from operations (66,082)

Adjustments for:Net realized loss (gain) on investments 669 Change in net unrealized loss (gain) on investments 66,198 Purchase of investments (598,769)Proceeds from sale and maturity of investments 64,434

Change in accrued interest receivable (7,281)Change in due to manager 166 Net cash from operating activities (540,665)

Cash flows from financing activitiesProceeds from units issued 558,558 Payments on redemption of units (9,275)Distributions paid net of reinvestments (9,126)Net cash from financing activities 540,157

Net increase (decrease) in cash and cash equivalents (508)Cash and cash equivalents at beginning of period – Effect of exchange rate fluctuations on cash and cash equivalents (2)

Cash and cash equivalents at end of period (510)

Cash – Cash equivalents – Bank indebtedness (510)Cash and cash equivalents at end of period (510)

Supplementary disclosures on cash flow from operating activities:

Dividends received – Foreign taxes paid – Interest received 3,006 Interest paid 12




SCHEDULE OF INVESTMENTS

As at March 31, 2020

Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS Abu Dhabi Crude Oil Pipeline LLC 4.60% 11-02-2047 United Arab Emirates Corporate - Non Convertible USD 1,680,000 2,563 2,355 Abu Dhabi National Energy Co. PJSC 3.88% 05-06-2024 United Arab Emirates Corporate - Non Convertible USD 4,167,000 5,793 5,861 Abu Dhabi National Energy Co. PJSC 4.38% 06-22-2026 United Arab Emirates Corporate - Non Convertible USD 1,262,000 1,828 1,793 Abu Dhabi National Energy Co. PJSC 6.50% 10-27-2036 United Arab Emirates Corporate - Non Convertible USD 1,141,000 2,061 1,843 Abu Dhabi National Energy Co. PJSC 4.00% 10-03-2049 United Arab Emirates Corporate - Non Convertible USD 1,095,000 1,507 1,422 Arab Republic of Egypt 5.88% 06-11-2025 Egypt Foreign Governments USD 587,000 823 746 Banco Nacional de Comercio Exterior SNC 4.38%

10-14-2025 Mexico Corporate - Non Convertible USD 1,293,000 1,798 1,699 Banco Nacional de Costa Rica 6.25% 11-01-2023 Costa Rica Corporate - Non Convertible USD 1,115,000 1,569 1,451 Bank of China Ltd. 2.88% 04-20-2022 China Corporate - Non Convertible USD 1,541,000 2,071 2,220 Bank of India 6.25% 02-16-2021 India Corporate - Non Convertible USD 979,000 1,354 1,392 Bharat Petroleum Corp. Ltd. 4.63% 10-25-2022 India Corporate - Non Convertible USD 435,000 604 596 Bharat Petroleum Corp. Ltd. 4.00% 05-08-2025 India Foreign Governments USD 658,000 904 826 BOC Aviation Ltd. 3.50% 10-10-2024 Singapore Corporate - Non Convertible USD 435,000 598 656 Centrais Eletricas Brasileiras SA 4.63% 02-04-2030 Brazil Corporate - Non Convertible USD 599,000 813 750 China Construction Bank Corp. 2.75% 06-13-2022 China Corporate - Non Convertible USD 1,886,000 2,521 2,752 China Great Wall AMC International Holdings Co. Ltd.

2.63% 10-27-2021 China Corporate - Non Convertible USD 2,760,000 3,647 3,950 China Huarong International Holdings Ltd. 3.75%

11-19-2020 China Corporate - Non Convertible USD 574,000 769 820 China Huarong International Holdings Ltd. 5.00%

11-19-2025 China Corporate - Non Convertible USD 504,000 727 736 China Petrochemical Corp. 4.10% 04-28-2045 China Corporate - Non Convertible USD 921,000 1,377 1,497 China Petroleum & Chemical Corp. 2.75% 05-03-2021 China Corporate - Non Convertible USD 1,278,000 1,702 1,809 China Petroleum & Chemical Corp. 3.13% 04-24-2023 China Corporate - Non Convertible USD 1,721,000 2,338 2,495 CNOOC Ltd. 4.38% 05-02-2028 China Corporate - Non Convertible USD 1,530,000 2,281 2,415 Colombia Government International Bond 4.00%

02-26-2024 Colombia Foreign Governments USD 1,408,000 1,994 2,014 Colombia Government International Bond 4.50%

01-28-2026 Colombia Foreign Governments USD 1,434,000 2,074 2,055 The Comisión Federal de Electricidad 5.75%

02-14-2042 Mexico Corporate - Non Convertible USD 652,000 978 858 Commonwealth Bank of Australia 5.15% 04-09-2020 Australia Corporate - Non Convertible 650,000 650 650 Corp Nacional del Cobre de Chi 5.63% 10-18-2043 Chile Corporate - Non Convertible USD 684,000 1,184 1,058 Corp Nacional del Cobre de Chile 4.50% 09-16-2025 Chile Corporate - Non Convertible USD 1,362,000 1,975 1,989 Corp Nacional del Cobre de Chile 4.25% 07-17-2042 Chile Corporate - Non Convertible USD 370,000 546 501 Corp Nacional del Cobre de Chile 4.38% 02-05-2049

Callable 2048 Chile Foreign Governments USD 543,000 787 739 Corp Nacional del Cobre de Chile 3.70% 01-30-2050

Callable 2049 Chile Corporate - Non Convertible USD 1,341,000 1,817 1,622 Development Bank of Kazakhstan 4.13% 12-10-2022 Kazakhstan Corporate - Non Convertible USD 368,000 507 509 Dominican Republic 5.50% 01-27-2025 Dominican Republic Foreign Governments USD 614,000 755 837 Dominican Republic 5.95% 01-25-2027 Dominican Republic Foreign Governments USD 1,315,000 1,907 1,764 Dominican Republic 7.45% 04-30-2044 Dominican Republic Foreign Governments USD 543,000 867 749 Dominican Republic 6.85% 01-27-2045 Dominican Republic Foreign Governments USD 921,000 1,382 934 Dominican Republic 6.40% 06-05-2049 Dominican Republic Foreign Governments USD 543,000 785 680 DP World PLC 3.91% 05-31-2023 United Arab Emirates Corporate - Non Convertible USD 2,660,000 3,641 3,581 DP World PLC 5.63% 09-25-2048 United Arab Emirates Corporate - Non Convertible USD 511,000 778 610 Dubai DOF Sukuk Ltd. 6.45% 05-02-2022 United Arab Emirates Corporate - Non Convertible USD 1,049,000 1,526 1,531 Ecopetrol SA 7.38% 09-18-2043 Colombia Corporate - Non Convertible USD 756,000 1,342 1,084




SCHEDULE OF INVESTMENTS (cont’d)


Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS (cont’d) Empresa Nacional del Petroleo 3.75% 08-05-2026 Chile Corporate - Non Convertible USD 435,000 596 575 Empresa Nacional del Petroleo 4.50% 09-14-2047 Chile Corporate - Non Convertible USD 669,000 941 750 Eskom Holdings SOC Ltd. 6.75% 08-06-2023 United States Corporate - Non Convertible USD 543,000 737 574 Eskom Holdings SOC Ltd. 7.13% 02-11-2025 South Africa Corporate - Non Convertible USD 543,000 738 550 The Export-Import Bank of China 2.00% 04-26-2021 China Foreign Governments USD 2,384,000 3,147 3,366 Export-Import Bank of India 4.00% 01-14-2023 India Foreign Governments USD 787,000 1,094 1,113 Export-Import Bank of India 3.38% 08-05-2026 India Foreign Governments USD 435,000 588 586 Export-Import Bank of India 3.25% 01-15-2030 India Foreign Governments USD 1,455,000 1,946 1,829 Export-Import Bank of Korea 3.25% 08-12-2026 South Korea Foreign Governments USD 1,098,000 1,678 1,683 Export-Import Bank of Malaysia BHD 2.48%

10-20-2021 Malaysia Foreign Governments USD 435,000 577 610 Fondo MIVIVIENDA SA 3.50% 01-31-2023 Peru Foreign Governments USD 1,041,000 1,412 1,394 Goverment of Brazil 6.00% 04-07-2026 Brazil Foreign Governments USD 2,366,000 3,672 3,794 Goverment of Brazil 10.13% 05-15-2027 Brazil Foreign Governments USD 520,000 990 1,001 Government of Abu Dhabi 3.13% 10-11-2027 United Arab Emirates Foreign Governments USD 1,475,000 2,070 2,122 Government of Angola 9.50% 11-12-2025 Republic of Angola Foreign Governments USD 945,000 1,462 573 Government of Angola 8.25% 05-09-2028 Republic of Angola Foreign Governments USD 1,008,000 1,444 591 Government of Angola 8.00% 11-26-2029 Republic of Angola Foreign Governments USD 435,000 610 256 Government of Angola 9.38% 05-08-2048 Republic of Angola Foreign Governments USD 1,551,000 2,204 870 Government of Argentina 8.00% 10-08-2020 Argentina Foreign Governments USD 1,036,000 931 387 Government of Argentina 6.88% 04-22-2021 Argentina Foreign Governments USD 1,934,000 1,589 821 Government of Argentina 5.63% 01-26-2022 Argentina Foreign Governments USD 782,000 482 328 Government of Argentina 8.75% 05-07-2024 Argentina Foreign Governments USD 3,138,000 2,273 1,092 Government of Argentina 5.75% 04-18-2025 Argentina Foreign Governments USD 693,000 507 229 Government of Argentina 7.50% 04-22-2026 Argentina Foreign Governments USD 4,187,000 2,697 1,694 Government of Argentina 6.88% 01-26-2027 Argentina Foreign Governments USD 1,517,000 1,226 608 Government of Argentina 5.88% 01-11-2028 Argentina Foreign Governments USD 650,000 505 255 Government of Argentina 8.28% 12-31-2033 Argentina Foreign Governments USD 949,180 832 480 Government of Argentina 8.28% 12-31-2033 (LOC) Argentina Foreign Governments USD 1,099,198 723 540 Government of Argentina 7.13% 07-06-2036 Argentina Foreign Governments USD 791,000 470 297 Government of Argentina 3.75% 12-31-2038 Argentina Foreign Governments USD 1,823,000 1,197 781 Government of Argentina 7.63% 04-22-2046 Argentina Foreign Governments USD 678,000 388 253 Government of Argentina 6.88% 01-11-2048 Argentina Foreign Governments USD 1,404,000 1,068 531 Government of Argentina 7.13% 06-28-2117 Argentina Foreign Governments USD 628,000 478 241 Government of Azerbaijan 3.50% 09-01-2032 Azerbaijan Foreign Governments USD 563,000 745 672 Government of Bahrain 6.13% 07-05-2022 Bahrain Foreign Governments USD 913,000 1,301 1,226 Government of Bahrain 7.00% 10-12-2028 Bahrain Foreign Governments USD 1,964,000 3,016 2,533 Government of Bahrain 7.50% 09-20-2047 Bahrain Foreign Governments USD 500,000 785 595 Government of Brazil 4.25% 01-07-2025 Brazil Foreign Governments USD 3,594,000 5,108 5,342 Government of Brazil 5.63% 01-07-2041 Brazil Foreign Governments USD 543,000 833 789 Government of Brazil 5.00% 01-27-2045 Brazil Foreign Governments USD 1,170,000 1,660 1,577 Government of Brazil 5.63% 02-21-2047 Brazil Foreign Governments USD 932,000 1,413 1,361 Government of Brazil 4.75% 01-14-2050

Callable 2049 Brazil Foreign Governments USD 758,000 1,073 985 Government of Chile 3.13% 01-21-2026 Chile Foreign Governments USD 834,000 1,162 1,230 Government of Chile 3.24% 02-06-2028

Callable 2027 Chile Foreign Governments USD 662,000 942 989 Government of Chile 3.86% 06-21-2047 Chile Foreign Governments USD 435,000 651 672 Government of Chile 3.50% 01-25-2050 Chile Foreign Governments USD 435,000 620 637






Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS (cont’d) Government of China 3.25% 10-19-2023 China Foreign Governments USD 1,910,000 2,681 2,903 Government of China 2.13% 12-03-2029 China Foreign Governments USD 1,123,000 1,479 1,641 Government of China 2.75% 12-03-2039 China Foreign Governments USD 606,000 784 863 Government of Colombia 4.38% 07-12-2021 Colombia Foreign Governments USD 1,071,000 1,474 1,530 Government of Colombia 8.13% 05-21-2024 Colombia Foreign Governments USD 76,000 124 124 Government of Colombia 3.88% 04-25-2027 Colombia Foreign Governments USD 1,197,000 1,700 1,674 Government of Colombia 5.63% 02-26-2044 Colombia Foreign Governments USD 1,047,000 1,735 1,632 Government of Colombia 5.20% 05-15-2049 Colombia Foreign Governments USD 837,000 1,341 1,244 Government of Costa Rica 7.00% 04-04-2044 Costa Rica Foreign Governments USD 993,000 1,381 1,132 Government of Costa Rica 7.16% 03-12-2045 Costa Rica Foreign Governments USD 1,230,000 1,702 1,403 Government of Cote D’Ivoire 6.38% 03-03-2028 Ivory Coast Foreign Governments USD 1,273,000 1,785 1,651 Government of Cote D’Ivoire 5.75% 12-31-2032

Callable 2020 Ivory Coast Foreign Governments USD 1,319,265 1,739 1,683 Government of Cote D’Ivoire 6.13% 06-15-2033 Ivory Coast Foreign Governments USD 1,134,000 1,501 1,400 Government of Croatia 5.50% 04-04-2023 Croatia Foreign Governments USD 2,097,000 3,091 2,967 Government of Croatia 6.00% 01-26-2024 Croatia Foreign Governments USD 1,338,000 2,032 2,044 Government of Dominican Republic 5.88% 01-30-2060 Dominican Republic Foreign Governments USD 444,000 594 533 Government of Ecuador 10.75% 03-28-2022 Ecuador Foreign Governments USD 1,977,000 2,747 873 Government of Ecuador 9.65% 12-13-2026 Ecuador Foreign Governments USD 915,000 1,185 341 Government of Ecuador 9.63% 06-02-2027 Ecuador Foreign Governments USD 556,000 674 215 Government of Ecuador 8.88% 10-23-2027 Ecuador Foreign Governments USD 713,000 885 257 Government of Ecuador 7.88% 01-23-2028 Ecuador Foreign Governments USD 876,000 1,010 350 Government of Ecuador 9.50% 03-27-2030 Ecuador Foreign Governments USD 1,021,000 1,223 431 Government of Egypt 6.13% 01-31-2022 Egypt Foreign Governments USD 1,328,000 1,829 1,806 Government of Egypt 7.50% 01-31-2027 Egypt Foreign Governments USD 1,208,000 1,797 1,553 Government of Egypt 7.60% 03-01-2029 Egypt Foreign Governments USD 2,147,000 3,120 2,715 Government of Egypt 8.50% 01-31-2047 Egypt Foreign Governments USD 1,167,000 1,715 1,354 Government of Egypt 7.90% 02-21-2048 Egypt Foreign Governments USD 437,000 617 502 Government of El Salvador 5.88% 01-30-2025 El Salvador Foreign Governments USD 1,134,000 1,588 1,414 Government of El Salvador 8.63% 02-28-2029 El Salvador Foreign Governments USD 774,000 1,245 1,066 Government of El Salvador 7.65% 06-15-2035 El Salvador Foreign Governments USD 1,034,000 1,533 1,252 Government of El Salvador 7.12% 01-20-2050 El Salvador Foreign Governments USD 754,000 1,057 827 Government of Ghana 10.75% 10-14-2030 Ghada Foreign Governments USD 541,000 922 830 Government of Ghana 8.13% 03-26-2032 Ghada Foreign Governments USD 1,564,000 2,098 1,571 Government of Ghana 8.63% 06-16-2049 Ghada Foreign Governments USD 435,000 588 433 Government of Ghana 8.95% 03-26-2051 Ghada Foreign Governments USD 652,000 879 652 Government of Hungary 6.38% 03-29-2021 Hungary Foreign Governments USD 1,116,000 1,568 1,631 Government of Hungary 5.75% 11-22-2023 Hungary Foreign Governments USD 1,653,000 2,484 2,569 Government of Hungary 7.63% 03-29-2041 Hungary Foreign Governments USD 452,000 1,004 1,019 Government of Indonesia 4.88% 05-05-2021 Indonesia Foreign Governments USD 543,000 751 774 Government of Indonesia 5.38% 10-17-2023 Indonesia Foreign Governments USD 1,773,000 2,616 2,665 Government of Indonesia 4.75% 02-11-2029 Indonesia Foreign Governments USD 1,058,000 1,618 1,620 Government of Indonesia 3.40% 09-18-2029 Indonesia Foreign Governments USD 1,079,000 1,502 1,498 Government of Indonesia 7.75% 01-17-2038 Indonesia Foreign Governments USD 1,556,000 3,095 3,043 Government of Indonesia 4.63% 04-15-2043 Indonesia Foreign Governments USD 841,000 1,279 1,264 Government of Indonesia 6.75% 01-15-2044 Indonesia Foreign Governments USD 3,101,000 5,994 5,720 Government of Indonesia 5.13% 01-15-2045 Indonesia Foreign Governments USD 789,000 1,257 1,244 Government of Indonesia 4.35% 01-11-2048 Indonesia Foreign Governments USD 1,743,000 2,550 2,528 Government of Jamaica 6.75% 04-28-2028 Jamaica Foreign Governments USD 974,000 1,528 1,430






Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS (cont’d) Government of Jamaica 8.00% 03-15-2039 Jamaica Foreign Governments USD 862,000 1,513 1,335 Government of Jamaica 7.88% 07-28-2045 Jamaica Foreign Governments USD 1,240,000 2,187 1,885 Government of Kazakhstan 5.13% 07-21-2025 Kazakhstan Foreign Governments USD 1,378,000 2,090 2,095 Government of Kazakhstan 6.50% 07-21-2045 Kazakhstan Foreign Governments USD 507,000 970 938 Government of Kenya 7.00% 05-22-2027 Kenya Foreign Governments USD 1,401,000 1,972 1,829 Government of Kenya 7.25% 02-28-2028 Kenya Foreign Governments USD 634,000 905 834 Government of Kenya 8.00% 05-22-2032 Kenya Foreign Governments USD 1,408,000 2,030 1,838 Government of Kuwait 2.75% 03-20-2022 Kuwait Foreign Governments USD 613,000 820 869 Government of Kuwait 3.50% 03-20-2027 Kuwait Foreign Governments USD 2,812,000 4,054 4,125 Government of Lebanese Republic 6.65% 02-26-2030 Lebanon Foreign Governments USD 543,000 325 147 Government of Lebanon 8.25% 04-12-2021 Lebanon Foreign Governments USD 1,071,000 420 310 Government of Lebanon 6.25% 05-27-2022 Lebanon Foreign Governments USD 2,577,000 2,094 702 Government of Lebanon 6.85% 03-23-2027 Lebanon Foreign Governments USD 995,000 741 270 Government of Lebanon 6.65% 11-03-2028 Lebanon Foreign Governments USD 763,000 510 206 Government of Lebanon 6.85% 05-25-2029 Lebanon Foreign Governments USD 1,749,000 915 468 Government of Lebanon 7.05% 11-02-2035 Lebanon Foreign Governments USD 1,358,000 983 370 Government of Lebanon 7.25% 03-23-2037 Lebanon Foreign Governments USD 648,000 473 168 Government of Malaysia 3.18% 04-27-2026 Malaysia Foreign Governments USD 275,000 386 404 Government of Malaysia 4.08% 04-27-2046 Malaysia Foreign Governments USD 548,000 872 868 Government of Mexico 4.00% 10-02-2023 Mexico Foreign Governments USD 541,000 764 779 Government of Mexico 4.13% 01-21-2026 Mexico Foreign Governments USD 2,140,000 3,036 3,102 Government of Mexico 4.15% 03-28-2027 Mexico Foreign Governments USD 1,497,000 2,137 2,147 Government of Mexico 3.75% 01-11-2028 Mexico Foreign Governments USD 2,636,000 3,631 3,707 Government of Mexico 8.30% 08-15-2031 Mexico Foreign Governments USD 259,000 525 513 Government of Mexico 4.75% 03-08-2044 Mexico Foreign Governments USD 652,000 968 928 Government of Mexico 4.35% 01-15-2047 Mexico Foreign Governments USD 1,211,000 1,716 1,664 Government of Mexico 4.60% 02-10-2048 Mexico Foreign Governments USD 652,000 959 925 Government of Mexico 4.50% 01-31-2050 Mexico Foreign Governments USD 474,000 690 663 Government of Mexico 5.75% 10-12-2110 Mexico Foreign Governments USD 586,000 935 859 Government of Morocco 5.50% 12-11-2042 Morocco Foreign Governments USD 556,000 920 835 Government of Nigeria 7.63% 11-21-2025 Nigeria Foreign Governments USD 374,000 552 411 Government of Nigeria 6.50% 11-28-2027 Nigeria Foreign Governments USD 806,000 1,094 794 Government of Nigeria 7.14% 02-23-2030 Nigeria Foreign Governments USD 611,000 840 604 Government of Nigeria 7.88% 02-16-2032 Nigeria Foreign Governments USD 543,000 747 541 Government of Nigeria 7.70% 02-23-2038 Nigeria Foreign Governments USD 543,000 720 522 Government of Nigeria 7.63% 11-28-2047 Nigeria Foreign Governments USD 439,000 583 415 Government of Nigeria 9.25% 01-21-2049 Nigeria Foreign Governments USD 331,000 494 332 Government of Oman 3.63% 06-15-2021 Oman Foreign Governments USD 1,762,000 2,342 2,294 Government of Oman 4.13% 01-17-2023 Oman Foreign Governments USD 435,000 585 512 Government of Oman 4.75% 06-15-2026 Oman Foreign Governments USD 1,619,000 2,114 1,639 Government of Oman 6.00% 08-01-2029 Oman Foreign Governments USD 1,760,000 2,382 1,788 Government of Oman 6.50% 03-08-2047 Oman Foreign Governments USD 1,217,000 1,558 1,128 Government of Oman 6.75% 01-17-2048 Oman Foreign Governments USD 608,000 786 571 Government of Pakistan 5.63% 12-05-2022 Pakistan Foreign Governments USD 864,000 1,132 1,141 Government of Pakistan 8.25% 04-15-2024 Pakistan Foreign Governments USD 543,000 803 680 Government of Pakistan 6.88% 12-05-2027 Pakistan Foreign Governments USD 1,537,000 2,118 1,808 Government of Panama 4.00% 09-22-2024 Panama Foreign Governments USD 480,000 691 703 Government of Panama 3.75% 04-17-2026 (REGS) Panama Foreign Governments USD 1,953,000 2,738 2,768 Government of Panama 3.75% 04-17-2026 Panama Foreign Governments USD 54,000 75 77






Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS (cont’d) Government of Panama 8.88% 09-30-2027 Panama Foreign Governments USD 697,000 1,329 1,334 Government of Panama 9.38% 04-01-2029 Panama Foreign Governments USD 989,000 1,996 1,983 Government of Panama 4.50% 04-16-2050 Panama Foreign Governments USD 813,000 1,310 1,259 Government of Panama 4.30% 04-29-2053 Panama Foreign Governments USD 695,000 1,094 1,062 Government of Paraguay 4.63% 01-25-2023 Paraguay Foreign Governments USD 1,136,000 1,596 1,623 Government of Paraguay 6.10% 08-11-2044 Paraguay Foreign Governments USD 595,000 991 892 Government of Paraguay 5.60% 03-13-2048 Paraguay Foreign Governments USD 1,067,000 1,680 1,547 Government of Paraguay 5.40% 03-30-2050 Paraguay Foreign Governments USD 452,000 689 649 Government of Peru 4.13% 08-25-2027 Peru Foreign Governments USD 917,000 1,374 1,466 Government of Peru 2.84% 06-20-2030 Peru Foreign Governments USD 54,000 74 81 Government of Peru 8.75% 11-21-2033 Peru Foreign Governments USD 654,000 1,440 1,462 Government of Peru 5.63% 11-18-2050 Peru Foreign Governments USD 765,000 1,511 1,615 Government of Poland 5.00% 03-23-2022 Poland Foreign Governments USD 1,282,000 1,828 1,926 Government of Poland 3.00% 03-17-2023 Poland Foreign Governments USD 602,000 829 884 Government of Poland 4.00% 01-22-2024 Poland Foreign Governments USD 671,000 970 1,031 Government of Poland 3.25% 04-06-2026 Poland Foreign Governments USD 991,000 1,393 1,510 Government of Qatar 3.25% 06-02-2026 Qatar Foreign Governments USD 3,553,000 4,978 5,076 Government of Qatar 4.50% 04-23-2028 Qatar Foreign Governments USD 5,665,000 8,730 8,754 Government of Qatar 4.00% 03-14-2029 Qatar Foreign Governments USD 1,632,000 2,397 2,466 Government of Qatar 5.10% 04-23-2048 Qatar Foreign Governments USD 1,838,000 3,090 3,149 Government of Qatar 4.82% 03-14-2049 Qatar Foreign Governments USD 1,126,000 1,822 1,874 Government of Romania 6.75% 02-07-2022 Romania Foreign Governments USD 1,040,000 1,516 1,534 Government of Romania 4.38% 08-22-2023 Romania Foreign Governments USD 889,000 1,257 1,298 Government of Romania 4.88% 01-22-2024 Romania Foreign Governments USD 55,000 80 81 Government of Romania 6.13% 01-22-2044 Romania Foreign Governments USD 717,000 1,237 1,165 Government of Romania 5.13% 06-15-2048 Romania Foreign Governments USD 652,000 1,019 950 Government of Russia 4.88% 09-16-2023 Russia Foreign Governments USD 3,800,000 5,460 5,701 Government of Russia 12.75% 06-24-2028 Russia Foreign Governments USD 200,000 450 468 Government of Russia 4.38% 03-21-2029 Russia Foreign Governments USD 1,400,000 2,059 2,113 Government of Russia 5.10% 03-28-2035 Russia Foreign Governments USD 800,000 1,224 1,303 Government of Russia 5.63% 04-04-2042 Russia Foreign Governments USD 400,000 685 688 Government of Russia 5.25% 06-23-2047 Russia Foreign Governments USD 1,400,000 2,284 2,393 Government of Saudi Arabia 2.38% 10-26-2021 Saudi Arabia Foreign Governments USD 539,000 723 752 Government of Saudi Arabia 2.89% 04-20-2022 Saudi Arabia Foreign Governments USD 6,005,000 8,120 8,492 Government of Saudi Arabia 3.63% 03-04-2028 Saudi Arabia Foreign Governments USD 934,000 1,366 1,341 Government of Saudi Arabia 4.38% 04-16-2029 Saudi Arabia Foreign Governments USD 571,000 864 867 Government of Saudi Arabia 2.97% 10-29-2029 Saudi Arabia Foreign Governments USD 1,212,000 1,622 1,679 Government of Saudi Arabia 4.50% 04-17-2030 United Arab Emirates Foreign Governments USD 2,627,000 3,965 3,994 Government of Saudi Arabia 4.50% 10-26-2046 Saudi Arabia Foreign Governments USD 2,597,000 3,795 3,724 Government of Saudi Arabia 4.63% 10-04-2047 Saudi Arabia Foreign Governments USD 1,341,000 1,995 1,943 Government of Saudi Arabia 5.00% 04-17-2049 Saudi Arabia Foreign Governments USD 1,079,000 1,733 1,647 Government of Saudi Arabia 5.25% 01-16-2050 Saudi Arabia Foreign Governments USD 873,000 1,497 1,381 Government of Saudi Arabia 3.75% 01-21-2055 Saudi Arabia Foreign Governments USD 836,000 1,141 1,089 Government of South Africa 5.88% 09-16-2025 South Africa Foreign Governments USD 1,247,000 1,817 1,693 Government of South Africa 4.85% 09-27-2027 South Africa Foreign Governments USD 756,000 1,037 940 Government of South Africa 4.30% 10-12-2028 South Africa Foreign Governments USD 1,002,000 1,307 1,163 Government of South Africa 4.85% 09-30-2029 South Africa Foreign Governments USD 543,000 721 630 Government of South Africa 5.00% 10-12-2046 South Africa Foreign Governments USD 467,000 588 458 Government of South Africa 5.65% 09-27-2047 South Africa Foreign Governments USD 969,000 1,296 1,013






Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS (cont’d) Government of South Africa 5.75% 09-30-2049 South Africa Foreign Governments USD 864,000 1,116 888 Government of South Korea 2.00% 06-19-2024 South Korea Foreign Governments USD 2,497,000 3,355 3,608 Government of Sri Lanka 6.85% 11-03-2025 Sri Lanka Foreign Governments USD 2,392,000 3,208 2,087 Government of Sri Lanka 6.20% 05-11-2027 Sri Lanka Foreign Governments USD 915,000 1,158 786 Government of Sri Lanka 7.85% 03-14-2029 Sri Lanka Foreign Governments USD 652,000 875 551 Government of the Philippines 7.50% 09-25-2024 Philippines Foreign Governments USD 1,080,000 1,723 1,716 Government of the Philippines 10.63% 03-16-2025 Philippines Foreign Governments USD 1,097,000 2,075 2,039 Government of the Philippines 7.75% 01-14-2031 Philippines Foreign Governments USD 563,000 1,113 1,126 Government of the Philippines 6.38% 10-23-2034 Philippines Foreign Governments USD 1,241,000 2,345 2,332 Government of the Philippines 3.70% 02-02-2042 Philippines Foreign Governments USD 2,349,000 3,542 3,665 Government of Turkey 5.63% 03-30-2021 Turkey Foreign Governments USD 2,197,000 2,997 3,079 Government of Turkey 5.00% 04-06-2023 Turkey Foreign Governments USD 968,000 1,316 1,275 Government of Turkey 6.35% 08-10-2024 Turkey Foreign Governments USD 1,701,000 2,365 2,276 Government of Turkey 7.38% 02-05-2025 Turkey Foreign Governments USD 3,772,000 5,472 5,231 Government of Turkey 6.13% 10-24-2028 Turkey Foreign Governments USD 1,925,000 2,605 2,392 Government of Turkey 7.63% 04-26-2029 Turkey Foreign Governments USD 2,783,000 4,066 3,746 Government of Turkey 6.00% 01-14-2041 Turkey Foreign Governments USD 1,215,000 1,532 1,344 Government of Turkey 4.88% 04-16-2043 Turkey Foreign Governments USD 1,914,000 2,164 1,885 Government of Turkey 6.63% 02-17-2045 Turkey Foreign Governments USD 652,000 882 758 Government of Turkey 5.75% 05-11-2047 Turkey Foreign Governments USD 2,216,000 2,679 2,308 Government of Ukraine 7.75% 09-01-2024 Ukraine Foreign Governments USD 1,043,000 1,521 1,358 Government of Ukraine 7.75% 09-01-2025 Ukraine Foreign Governments USD 552,000 803 710 Government of Ukraine 7.75% 09-01-2027 Ukraine Foreign Governments USD 541,000 789 700 Government of Ukraine 9.75% 11-01-2028 Ukraine Foreign Governments USD 858,000 1,379 1,179 Government of Ukraine 7.38% 09-25-2032 Ukraine Foreign Governments USD 826,000 1,168 1,061 Government of United Arab Emirates 3.13%

05-03-2026 United Arab Emirates Foreign Governments USD 2,992,000 4,152 4,310 Government of Uruguay 8.00% 11-18-2022 Uruguay Foreign Governments USD 418,000 622 642 Government of Uruguay 4.38% 01-23-2031 Uruguay Foreign Governments USD 1,278,000 1,897 1,966 Government of Uruguay 5.10% 06-18-2050 Uruguay Foreign Governments USD 1,819,000 2,906 2,922 Government of Uruguay 4.98% 04-20-2055 Uruguay Foreign Governments USD 291,000 469 469 Hindustan Petroleum Corp. Ltd. 4.00% 07-12-2027 India Corporate - Non Convertible USD 202,000 279 260 The International Bank of Azerbaijan 3.50%

09-01-2024 144A Azerbaijan Corporate - Non Convertible USD 1,086,000 1,309 1,360 KazMunayGas National Co. JSC 5.75% 04-19-2047 Kazakhstan Corporate - Non Convertible USD 806,000 1,296 1,132 KazMunayGas National Co. JSC 6.38% 10-24-2048 Kazakhstan Corporate - Non Convertible USD 1,002,000 1,696 1,402 The Korea Development Bank 3.00% 09-14-2022 South Korea Foreign Governments USD 658,000 899 965 Korea East-West Power Co. Ltd. 3.88% 07-19-2023 South Korea Corporate - Non Convertible USD 6,506,000 9,111 9,754 Mexico City Airport Trust 5.50% 07-31-2047 Mexico Corporate - Non Convertible USD 648,000 900 753 OCP SA 5.63% 04-25-2024 Morocco Corporate - Non Convertible USD 2,077,000 3,032 2,910 OCP SA 4.50% 10-22-2025 Morocco Corporate - Non Convertible USD 756,000 1,074 1,009 The Oil and Gas Holding Co. BSC 7.50% 10-25-2027 Bahrain Corporate - Non Convertible USD 543,000 830 660 Oil India Ltd. 5.13% 02-04-2029 India Corporate - Non Convertible USD 371,000 559 462 Ooredoo QPSC 4.50% 01-31-2043 Qatar Corporate - Non Convertible USD 335,000 553 515 Pertamina Persero PT 4.875% 05-03-2022 Indonesia Corporate - Non Convertible USD 4,204,000 5,867 5,945 Pertamina Persero PT 6.50% 05-27-2041 Indonesia Corporate - Non Convertible USD 478,000 807 760 Perusahaan Listrik Negara PT 5.25% 10-24-2042 Indonesia Foreign Governments USD 591,000 878 824 Perusahaan Listrik Negara PT 6.25% 01-25-2049 Indonesia Foreign Governments USD 606,000 1,054 934 Petrobras Global Finance BV 6.90% 03-19-2049 Brazil Corporate - Non Convertible USD 652,000 1,030 896






Country Sector

Par Value/ No. of

Shares/Units

Average Cost

($ 000s)

Fair Value

($ 000s)

BONDS (cont’d) Petroleo Brasileiro SA 5.09% 01-15-2030 Brazil Corporate - Non Convertible USD 2,777,000 3,979 3,561 Petroleos del Peru SA 5.63% 06-19-2047 Peru Corporate - Non Convertible USD 435,000 676 558 Petroleos Mexicanos 6.88% 08-04-2026 Mexico Corporate - Non Convertible USD 1,810,000 2,654 1,964 Petroleos Mexicanos 5.35% 02-12-2028 Mexico Corporate - Non Convertible USD 1,267,000 1,614 1,259 Petroleos Mexicanos 6.84% 01-23-2030 Mexico Corporate - Non Convertible USD 750,000 1,065 769 Petroleos Mexicanos 6.63% 06-15-2035 Mexico Corporate - Non Convertible USD 652,000 877 638 Petroleos Mexicanos 6.75% 09-21-2047 Mexico Corporate - Non Convertible USD 1,958,000 2,477 1,823 Petroleos Mexicanos 7.69% 01-23-2050 Mexico Corporate - Non Convertible USD 4,072,000 5,537 4,013 Petroleos Mexicanos 6.95% 01-28-2060 Callable 2059 Mexico Corporate - Non Convertible USD 825,000 1,115 791 Petroliam Nasional BHD 3.13% 03-18-2022 Malaysia Corporate - Non Convertible USD 1,391,000 1,885 1,985 Petroliam Nasional BHD 4.50% 03-18-2045 Malaysia Corporate - Non Convertible USD 758,000 1,222 1,117 Power Sector Assets & Liabilities Management Corp.

7.39% 12-02-2024 Philippines Corporate - Non Convertible USD 356,000 591 588 Province of Buenos Aires 10.88% 01-26-2021 Argentina Foreign Governments USD 217,333 143 98 Provincia de Buenos Aires/Argentina 7.88% 06-15-2027 Argentina Foreign Governments USD 1,849,000 1,314 696 Provincia de Buenos Aires 6.50% 02-15-2023 Argentina Foreign Governments USD 3,629,000 1,764 1,366 PT Indonesia Asahan Aluminum (Persero) 6.53% 11-15-2028 Indonesia Corporate - Non Convertible USD 1,058,000 1,737 1,593 PT Pertamina (Persero) 6.45% 05-30-2044 Indonesia Corporate - Non Convertible USD 604,000 1,049 935 PT Perusahaan Gas Negara TBK 5.13% 05-16-2024 Indonesia Corporate - Non Convertible USD 543,000 789 753 Republic of Colombia 5.00% 06-15-2045 Callable Colombia Foreign Governments USD 1,423,000 2,277 2,073 Russian Federation 5.88% 09-16-2043 Russia Foreign Governments USD 1,800,000 3,184 3,154 Saudi Electricity Global Sukuk 3.47% 04-08-2023 Saudi Arabia Corporate - Non Convertible USD 1,167,000 1,598 1,639 Saudi Electricity Global Sukuk 5.06% 04-08-2043 Saudi Arabia Corporate - Non Convertible USD 652,000 993 913 Sinochem Hong Kong (Group) Co. Ltd. 6.30% 11-12-2040 China Corporate - Non Convertible USD 1,243,000 2,274 2,519 State Bank of India 4.88% 04-17-2024 India Corporate - Non Convertible USD 435,000 621 623 State Development & Investment Corp. 3.75% 05-21-2029 China Corporate - Non Convertible USD 4,619,000 6,514 7,135 State Oil Co. of the Azerbaijan Republic 4.75% 03-13-2023 Azerbaijan Corporate - Non Convertible USD 587,000 814 807 State Oil Co. of the Azerbaijan Republic 6.95% 03-18-2030 Azerbaijan Corporate - Non Convertible USD 964,000 1,563 1,360 Transportadora de Gas Internacional SA ESP 5.55% 11-01-2028 Colombia Corporate - Non Convertible USD 895,000 1,361 1,222 Turkiye Vakiflar Bankasi TAO 5.50% 10-27-2021 Turkey Corporate - Non Convertible USD 1,548,000 2,051 2,160 YPF SA 7.00% 12-15-2047 Argentina Corporate - Non Convertible USD 652,000 640 477 YPF Sociedad Anonima 8.75% 04-04-2024 Argentina Foreign Governments USD 817,000 965 657 YPF Sociedad Anonima 8.50% 07-28-2025 Argentina Foreign Governments USD 543,000 618 401 Total bonds 509,128 468,353

Transaction costs (1) – Total investments 509,127 468,353

Derivative instruments (see schedule of derivative instruments) (25,782)Bank indebtedness (510)Other assets less liabilities 36,290 Total net assets 478,351




SUMMARY OF INVESTMENT PORTFOLIO

March 31, 2020Portfolio Allocation % of NAV

Bonds 97.9 Other assets (liabilities) 2.2 Cash and short-term investments (0.1)

Regional Allocation % of NAV

Other Asia 13.6 China 7.8 Indonesia 6.7 Other Europe 6.5 Other Africa 6.4 Other Southern America 6.3 Mexico 6.2 United Arab Emirates 6.2 Turkey 5.5 Saudi Arabia 5.3 Other 5.0 Qatar 4.6 Brazil 4.2 South Korea 3.3 Colombia 3.1 Argentina 2.6 Philippines 2.4 Chile 2.2 Other assets (liabilities) 2.2 Cash and short-term investments (0.1)

Sector Allocation % of NAV

Foreign government bonds 69.7 Corporate bonds 28.2 Other assets (liabilities) 2.2 Cash and short-term investments (0.1)




SCHEDULE OF DERIVATIVE INSTRUMENTS


Schedule of Forward Currency Contracts

Counterparty Credit Rating

Bought ($ 000s)

Sold ($ 000s)

Settlement Date

Contract Cost

($ 000s)

Current Fair Value ($ 000s)

Unrealized Gains (Losses)

($ 000s)A 1,042 U.S. dollar (1,399) Canadian dollar Apr. 2, 2020 1,399 1,466 67 A 7,408 U.S. dollar (9,880) Canadian dollar Apr. 2, 2020 9,880 10,425 545 A 7,044 U.S. dollar (9,466) Canadian dollar Apr. 2, 2020 9,466 9,914 448 A 81,930 Canadian dollar (57,547) U.S. dollar May 4, 2020 (81,930) (80,955) 975 A 66,839 Canadian dollar (46,946) U.S. dollar May 4, 2020 (66,839) (66,041) 798

AA 3,914 Canadian dollar (2,749) U.S. dollar May 4, 2020 (3,914) (3,867) 47 A 383,290 Canadian dollar (269,217) U.S. dollar May 4, 2020 (383,290) (378,721) 4,569

Unrealized Gains 7,449

A 89,159 Canadian dollar (66,277) U.S. dollar Apr. 2, 2020 (89,159) (93,271) (4,112)AA 3,698 Canadian dollar (2,749) U.S. dollar Apr. 2, 2020 (3,698) (3,869) (171)A 398,152 Canadian dollar (295,963) U.S. dollar Apr. 2, 2020 (398,152) (416,511) (18,359)A 74,033 Canadian dollar (55,032) U.S. dollar Apr. 2, 2020 (74,033) (77,447) (3,414)A 26,746 U.S. dollar (38,392) Canadian dollar Apr. 2, 2020 38,392 37,640 (752)A 1,322 U.S. dollar (1,877) Canadian dollar Apr. 2, 2020 1,877 1,860 (17)A 57,547 U.S. dollar (81,964) Canadian dollar Apr. 2, 2020 81,964 80,986 (978)A 46,946 U.S. dollar (66,865) Canadian dollar Apr. 2, 2020 66,865 66,067 (798)

AA 2,749 U.S. dollar (3,915) Canadian dollar Apr. 2, 2020 3,915 3,869 (46)A 269,217 U.S. dollar (383,446) Canadian dollar Apr. 2, 2020 383,446 378,870 (4,576)A 38,096 U.S. dollar (53,599) Canadian dollar May 4, 2020 53,599 53,591 (8)

Unrealized (Losses) (33,231)

Total forward currency contracts (25,782)

Total derivative instruments at fair value (25,782)




NOTES TO FINANCIAL STATEMENTS

1. Fiscal Periods and General Information

The information provided in these financial statements and notes thereto is for the periods ended or as at March 31, 2020 and 2019, as applicable. In the year an exchange-traded fund (“the ETF”) is established, ‘period’ represents the period from inception to the period end of that fiscal year. Refer to Note 10 for the formation date of the ETF.

The ETF is organized as an open-ended mutual fund trust established under the laws of the Province of Ontario pursuant to a Declaration of Trust as amended and restated from time to time. The address of the ETF’s registered office is 180 Queen Street West, Toronto, Ontario, Canada. The ETF is authorized to issue an unlimited number of units for sale under a Prospectus. The units of the ETF are listed on the Toronto Stock Exchange/Aequitas NEO Exchange (“the Exchange”).

Mackenzie Financial Corporation (“Mackenzie”) is the manager of the ETF and is wholly owned by IGM Financial Inc., a subsidiary of Power Corporation of Canada. Investments in companies within the Power Group of companies held by the ETF are identified in the Schedule of Investments.

2. Basis of Preparation and Presentation

These audited annual financial statements (“financial statements”) have been prepared in accordance with International Financial Reporting Standards (“IFRS”), as issued by the International Accounting Standards Board (“IASB”). A summary of the ETF’s significant accounting policies under IFRS is presented in Note 3.

These financial statements are presented in Canadian dollars, which is the ETF’s functional and presentation currency, and rounded to the nearest thousand unless otherwise indicated. These financial statements are prepared on a going concern basis using the historical cost basis, except for financial assets and liabilities that have been measured at fair value.

These financial statements were authorized for issue by the Board of Directors of Mackenzie Financial Corporation on July 13, 2020.

3. Significant Accounting Policies

(a) Financial instruments

Financial instruments include financial assets and liabilities such as debt and equity securities, open-ended investment funds and derivatives. The ETF classifies and measures financial instruments in accordance with IFRS 9 Financial Instruments (“IFRS 9”). Upon initial recognition, financial instruments are classified as fair value through profit or loss (“FVTPL”). All financial instruments are recognized in the Statement of Financial Position when the ETF becomes a party to the contractual requirements of the instrument. Financial assets are derecognized when the right to receive cash flows from the instrument has expired or the ETF has transferred substantially all risks and rewards of ownership. Financial liabilities are derecognized when the obligation is discharged, cancelled or expires. As such, investment purchase and sale transactions are recorded as of the trade date.

Financial instruments are subsequently measured at FVTPL with changes in fair value recognized in the Statement of Comprehensive Income – Other changes in fair value of investments and other net assets – Net unrealized gain (loss).

The ETF’s redeemable units are held by different types of unitholders that are entitled to different redemption rights. Unitholders may redeem units of the ETF at a redemption price per unit equal to 95% of the closing price of the units on the Exchange on the effective day of the redemption, subject to a maximum redemption price of the applicable NAV per unit. These different redemption features create equally subordinate but not identical units of the ETF which therefore meet the criteria for classification as financial liabilities under IAS 32, Financial Instruments: Presentation. The ETF’s obligation for net assets attributable to unitholders is presented at the redemption amount. Refer to Note 7 for details of subscriptions and redemptions of the ETF’s units.

IAS 7, Statement of Cash Flows, requires disclosures related to changes in liabilities and assets, such as the units of the ETF, arising from financing activities. Changes in units of the ETF, including both changes from cash flows and non-cash changes, are included in the Statement of Changes in Financial Position. Any changes in the units not settled in cash as at the end of the period are presented as either Accounts receivable for units issued or Accounts payable for units redeemed in the Statement of Financial Position. These accounts receivable and accounts payable amounts typically settle shortly after period-end.

Realized and unrealized gains and losses on investments are calculated based on the weighted average cost of investments and exclude commissions and other portfolio transaction costs, which are separately reported in the Statement of Comprehensive Income – Commissions and other portfolio transaction costs.

Gains and losses arising from changes in the fair value of the investments are included in the Statement of Comprehensive Income for the period in which they arise.





3. Significant Accounting Policies (cont’d)

(a) Financial instruments (cont’d)

The ETF accounts for its holdings in unlisted open-ended investment funds and exchange-traded funds, if any, at FVTPL. Mackenzie has concluded that any unlisted open-ended investment funds and exchange-traded funds in which the ETF invests, do not meet either the definition of a structured entity or the definition of an associate.

(b) Fair value measurement

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

Investments listed on a public securities exchange or traded on an over-the-counter market are valued on the basis of the last traded market price or close price recorded by the security exchange on which the security is principally traded, where this price falls within the quoted bid-ask spread for the investment. In circumstances where this price is not within the bid-ask spread, Mackenzie determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances. Mutual fund securities of an underlying fund are valued on a business day at the price calculated by the manager of such underlying fund in accordance with the constating documents of such underlying fund. Unlisted or non-exchange traded investments, or investments where a last sale or close price is unavailable or investments for which market quotations are, in Mackenzie’s opinion, inaccurate, unreliable, or not reflective of all available material information, are valued at their fair value as determined by Mackenzie using appropriate and accepted industry valuation techniques including valuation models. The fair value determined using valuation models requires the use of inputs and assumptions based on observable market data including volatility and other applicable rates or prices. In limited circumstances, the fair value may be determined using valuation techniques that are not supported by observable market data.

The cost of investments is determined on a weighted average cost basis.

Cash and cash equivalents which includes cash on deposit with financial institutions and short-term investments that are readily convertible to cash, are subject to an insignificant risk of changes in value, and are used by the ETF in the management of short-term commitments. Cash and cash equivalents are reported at fair value which closely approximates their amortized cost due to their nature of being highly liquid and having short terms to maturity. Bank overdraft positions are presented under current liabilities as bank indebtedness in the Statement of Financial Position.

The ETF may use derivatives (such as written options, futures, forward contracts, swaps or customized derivatives) to hedge against losses caused by changes in securities prices, interest rates or exchange rates. The ETF may also use derivatives for non-hedging purposes in order to invest indirectly in securities or financial markets, to gain exposure to other currencies, to seek to generate additional income, and/or for any other purpose considered appropriate by the ETF’s portfolio manager(s), provided that the use of the derivative is consistent with the ETF’s investment objectives. Any use of derivatives will comply with Canadian mutual fund laws, subject to the regulatory exemptions granted to the ETF, as applicable.

Valuations of derivative instruments are carried out daily, using normal exchange reporting sources for exchange-traded derivatives and specific broker enquiry for over-the-counter derivatives.

The value of forward contracts is the gain or loss that would be realized if, on the valuation date, the positions were to be closed out. The change in value of forward contracts is included in the Statement of Comprehensive Income – Other changes in fair value of investments and other net assets – Net unrealized gain (loss).

The value of futures contracts or swaps fluctuates daily, and cash settlements made daily, where applicable, by the ETF are equal to the unrealized gains or losses on a “mark to market” basis. These unrealized gains or losses are recorded and reported as such until the ETF closes out the contract or the contract expires. Margin paid or deposited in respect of futures contracts or swaps is reflected as a receivable in the Statement of Financial Position – Margin on derivatives. Any change in the variation margin requirement is settled daily.

Premiums received from writing options are included in the Statement of Financial Position as a liability and subsequently adjusted daily to fair value. If a written option expires unexercised, the premium received is recognized as a realized gain. If a written call option is exercised, the difference between the proceeds of the sale plus the value of the premium, and the cost of the security is recognized as a realized gain or loss. If a written put option is exercised, the cost of the security acquired is the exercise price of the option less the premium received.

Refer to the Schedule of Derivative Instruments and Schedule of Options Purchased/Written, as applicable, included in the Schedule of Investments for a listing of derivative and options positions as at March 31, 2020.

(c) Income recognition

Interest income from interest bearing investments is recognized using the effective interest method. Dividends are accrued as of the ex-dividend date. Realized gains or losses on the sale of investments, including foreign exchange gains or losses on such investments, are calculated on an average cost basis. Distributions received from an underlying fund are included in interest income, dividend income or realized gains (losses) on sale of investments, as appropriate.





3. Significant Accounting Policies (cont’d)

(d) Commissions and other portfolio transaction costs

Commissions and other portfolio transaction costs are costs incurred to acquire, issue or dispose of financial assets or liabilities. They include fees and commissions paid to agents, advisers, brokers and dealers. Commissions may be paid to brokerage firms which provide (or pay for) certain services, other than order execution, which may include investment research, analysis and reports, and databases or software in support of these services. Where applicable and ascertainable, the value of third-party services that were paid for by brokers during the periods is disclosed in Note 10. The value of certain proprietary services provided by brokers cannot be reasonably estimated. Mackenzie may reimburse the ETF for certain commissions and other portfolio transaction costs. Mackenzie may make these reimbursements at its discretion and stop these reimbursements at any time without notice. Any such reimbursements are included in the Statement of Comprehensive Income – expenses absorbed by Manager.

(e) Securities lending, repurchase and reverse repurchase transactions

The ETF is permitted to enter into securities lending, repurchase and reverse repurchase transactions as set out in the ETF’s Prospectus. These transactions involve the temporary exchange of securities for collateral with a commitment to redeliver the same securities on a future date. Securities lending transactions are administered by Canadian Imperial Bank of Commerce (the “Securities Lending Agent”). The value of cash or securities held as collateral must be at least 102% of the fair value of the securities loaned, sold or purchased. Income is earned from these transactions in the form of fees paid by the counterparty and, in certain circumstances, interest paid on cash or securities held as collateral. Income earned from these transactions is included in the Statement of Comprehensive Income – Securities lending income and recognized when earned.

Note 10 summarizes the details of securities loaned and collateral received, as well as a reconciliation of securities lending income, if applicable.

(f) Offsetting

Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position only when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. In the normal course of business, the ETF enters into various master netting agreements or similar agreements that do not meet the criteria for offsetting in the Statement of Financial Position but still allow for the related amounts to be set off in certain circumstances, such as bankruptcy or termination of the contracts. Note 10 summarizes the details of such offsetting, if applicable.

Income and expenses are not offset in the Statement of Comprehensive Income unless required or permitted to by an accounting standard, as specifically disclosed in the IFRS policies of the ETF.

(g) Foreign currency

The functional and presentation currency of the ETF is Canadian dollars. Foreign currency purchases and sales of investments and foreign currency dividend and interest income and expenses are translated to Canadian dollars at the rate of exchange prevailing at the time of the transactions.

Foreign exchange gains (losses) on purchases and sales of foreign currencies are included in the Statement of Comprehensive Income – Other changes in fair value of investments and other net assets – Net realized gain (loss).

The fair value of investments and other assets and liabilities, denominated in foreign currencies, are translated to Canadian dollars at the rate of exchange prevailing on each business day.

(h) Net assets attributable to unitholders per unit

Net assets attributable to unitholders per unit is computed by dividing the net assets attributable to unitholders on a business day by the total number of units outstanding on that day.

(i) Net asset value per unit

The daily Net Asset Value (“NAV”) of an investment fund may be calculated without reference to IFRS as per the Canadian Securities Administrators’ (“CSA”) regulations. The difference between NAV and Net assets attributable to unitholders (as reported in the financial statements), if any, is mainly due to differences in fair value of investments and other financial assets and liabilities. Refer to Note 10 for the ETF’s NAV per unit.

(j) Increase (decrease) in net assets attributable to unitholders from operations per unit

Increase (decrease) in net assets attributable to unitholders from operations per unit in the Statement of Comprehensive Income represents the increase (decrease) in net assets attributable to unitholders from operations for the period, divided by the weighted average number of units outstanding during the period.





4. Critical Accounting Estimates and Judgments

The preparation of these financial statements requires management to make estimates and assumptions that primarily affect the valuation of investments. Estimates and assumptions are reviewed on an ongoing basis. Actual results may differ from these estimates.

The outbreak of the novel coronavirus (COVID-19) developed rapidly over the first three months of 2020, with the World Health Organization declaring it a pandemic on March 11, 2020, and governments around the world enacting emergency measures that resulted in business disruptions, volatility in markets and a global economic slowdown.

The Manager uses judgment in assessing the impact from such events on assumptions and estimates applied in reporting the assets and liabilities in the ETF’s financial statements at March 31, 2020.

The duration and impact of the COVID-19 pandemic on businesses and markets, and the extent of economic relief measures provided by governments and central banks, are unknown at the reporting date and it is therefore not possible to reliably estimate the impact on the financial results and position of the ETF in future periods.

Use of Estimates

Fair value of securities not quoted in an active market

The ETF may hold financial instruments that are not quoted in active markets and are valued using valuation techniques that make use of observable data, to the extent practicable. Various valuation techniques are utilized, depending on a number of factors, including comparison with similar instruments for which observable market prices exist and recent arm’s length market transactions. Key inputs and assumptions used are company specific and may include estimated discount rates and expected price volatilities. Changes in key inputs, could affect the reported fair value of these financial instruments held by the ETF.

Use of Judgments

Classification and measurement of investments and application of the fair value option

In classifying and measuring financial instruments held by the ETF, Mackenzie is required to make significant judgments in order to determine the most appropriate classification in accordance with IFRS 9. Mackenzie has assessed the ETF’s business model, the manner in which all financial instruments are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance with IFRS 9 provides the most appropriate measurement and presentation of the ETF’s financial instruments.

Functional currency

The ETF’s functional and presentation currency is the Canadian dollar, which is the currency considered to best represent the economic effects of the ETF’s underlying transactions, events and conditions taking into consideration the manner in which units are issued and redeemed and how returns and performance by the ETF are measured.

Structured entities and associates

In determining whether an unlisted open-ended investment fund or an exchange-traded fund in which the ETF invests, but that it does not consolidate, meets the definitions of either a structured entity or of an associate, Mackenzie is required to make significant judgments about whether these underlying funds have the typical characteristics of a structured entity or of an associate. Mackenzie has assessed the characteristics of these underlying funds and has concluded that they do not meet the definition of either a structured entity or of an associate because the ETF does not have contracts or financing arrangements with these underlying funds and the ETF does not have an ability to influence the activities of these underlying funds or the returns it receives from investing in these underlying funds.

5. Income Taxes

The ETF qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada) and, accordingly, is subject to tax on its income including net realized capital gains in the taxation year, which is not paid or payable to its unitholders as at the end of the taxation year. It is the intention of the ETF to distribute all of its net income and sufficient net realized capital gains so that the ETF will not be subject to income taxes other than foreign withholding taxes, if applicable.

Losses of the ETF cannot be allocated to investors and are retained in the ETF for use in future years. Non-capital losses may be carried forward up to 20 years to reduce taxable income and realized capital gains of future years. Capital losses may be carried forward indefinitely to reduce future realized capital gains. Refer to Note 10 for the ETF’s loss carryforwards.





6. Management Fees and Operating Expenses

Mackenzie is paid a management fee for managing the investment portfolio, providing investment analysis and recommendations, making investment decisions and making brokerage arrangements relating to the purchase and sale of the investment portfolio. The management fee is calculated as a fixed annual percentage of the daily net asset value of the units of the ETF.

In addition to the applicable management fee, the operating expenses payable by the ETF include interest and borrowing costs, brokerage expenses and related transaction fees, fees and expenses relating to the operation of the Mackenzie ETFs’ Independent Review Committee (IRC), fees under any derivative instrument used by the ETF, cost of complying with the regulatory requirement to produce summary documents, ETF facts or other similar disclosure documents, the costs of complying with governmental or regulatory requirements introduced after the date of the most recently filed prospectus, including, without limitation, any new fees or increases in fees, the fees related to external services that are not commonly charged in the Canadian exchange-traded fund industry after the date of the most recently filed prospectus, fees paid to external service providers associated with tax reclaims, refunds or the preparation of foreign tax reports on behalf of the ETFs, fees paid to external legal counsel and/or others in connection with corporate or other actions affecting the portfolio holdings of the ETF, and any applicable taxes, including income, withholding or other taxes and also including G.S.T. or H.S.T. on expenses.

Mackenzie may waive or absorb management fees and operating expenses at its discretion and stop waiving or absorbing such fees at any time without notice. Mackenzie may charge a reduced management fee rate with respect to investments in the ETF by large investors, including other funds managed by Mackenzie or affiliates of Mackenzie. An amount equal to the difference between the fee otherwise chargeable and the reduced fee will be distributed in cash to those unitholders by the ETF as a management fee distribution. Refer to Note 10 for the management fee rates charged to units of the ETF.

7. Units and Unit Transactions

Mackenzie, on behalf of the ETF, has entered into a designated broker agreement with one or more designated brokers pursuant to which the designated broker has agreed to perform certain duties relating to the ETF including, without limitation: (i) to subscribe for a sufficient number of units to satisfy the Exchange’s original listing requirements; (ii) to subscribe for units on an ongoing basis in connection with any rebalancing event, as applicable, and when cash redemptions of units occur; and (iii) to post a liquid two-way market for the trading of units on the Exchange. In accordance with the designated broker agreement, Mackenzie may from time to time require the designated broker to subscribe for units of the ETF for cash.

The number of units issued/redeemed for subscription/redemption orders (the “Prescribed Number of Units”) is determined by Mackenzie. On any trading day, a designated broker may place a subscription or redemption order for any multiple of the Prescribed Number of Units of the ETF based on the NAV per unit determined on the applicable trading day. A trading day is each day on which the Exchange is opened for business.

Generally, all orders to purchase units directly from an ETF must be placed by a designated broker or a dealer. The ETF reserves the absolute right to reject any subscription order placed by a designated broker or a dealer. No fees will be payable by the ETF to a designated broker or a dealer in connection with the issuance of units. On the issuance of units, an amount may be charged to a designated broker or a dealer to offset the expenses incurred in issuing the units.

For each Prescribed Number of Units issued, a dealer must deliver payment consisting of: (i) a basket of securities and cash equal to the aggregate NAV per unit of the Prescribed Number of Units next determined following the receipt of the subscription order; (ii) cash in an amount equal to the aggregate NAV per unit of the Prescribed Number of Units next determined following the receipt of the subscription order; or (iii) a combination of securities and cash, as determined by Mackenzie, in an amount sufficient so that the value of the securities and cash received is equal to the aggregate NAV per unit of the Prescribed Number of Units next determined following the receipt of the subscription order.

8. ETF’s Capital

The capital of the ETF is comprised of the net assets attributable to unitholders. The units outstanding for the ETF as at March 31, 2020 and 2019 and units issued, reinvested and redeemed for the periods are presented in the Statement of Changes in Financial Position. Mackenzie manages the capital of the ETF in accordance with the investment objectives as discussed in Note 10.

9. Financial Instruments Risk

i. Risk exposure and management

The ETF’s investment activities expose it to a variety of financial risks, as defined in IFRS 7 Financial Instruments: Disclosures (“IFRS 7”). The ETF’s exposure to financial risks is concentrated in its investments, which are presented in the Schedule of Investments, as at March 31, 2020, grouped by asset type, with geographic and sector information.





9. Financial Instruments Risk (cont’d)

i. Risk exposure and management (cont’d)

Mackenzie seeks to minimize potential adverse effects of financial risks on the ETF’s performance by employing professional, experienced portfolio advisors, by monitoring the ETF’s positions and market events daily, by diversifying the investment portfolio within the constraints of the ETF’s investment objectives, and where applicable, by using derivatives to hedge certain risk exposures. To assist in managing risks, Mackenzie also maintains a governance structure that oversees the ETF’s investment activities and monitors compliance with the ETF’s stated investment strategy, internal guidelines, and securities regulations.

ii. Liquidity risk

Liquidity risk arises when the ETF encounters difficulty in meeting its financial obligations as they come due. The ETF is exposed to liquidity risk due to potential daily cash redemptions of redeemable units. In accordance with securities regulations, the ETF must maintain at least 90% of its assets in liquid investments (i.e., investments that can be readily sold). The ETF also has the ability to borrow up to 5% of its net assets for the purposes of funding redemptions and an additional 5% of its net assets for the purpose of funding distributions paid to its investors.

iii. Currency risk

Currency risk arises when the fair value of financial instruments that are denominated in a currency other than the Canadian dollar, which is the ETF’s reporting currency, fluctuates due to changes in exchange rates. Note 10 summarizes the ETF’s exposure, if applicable and significant, to currency risk.

iv. Interest rate risk

Interest rate risk arises when the fair value of interest-bearing financial instruments fluctuates due to changes in the prevailing levels of market interest rates. Cash and cash equivalents do not expose the ETF to significant amounts of interest rate risk. Note 10 summarizes the ETF’s exposure, if applicable and significant, to interest rate risk.

v. Other price risk

Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. All investments present a risk of loss of capital. This risk is managed through a careful selection of investments and other financial instruments within the parameters of the investment strategies. Except for certain derivative contracts, the maximum risk resulting from financial instruments is equivalent to their fair value. The maximum risk of loss on certain derivative contracts such as forwards, swaps, and futures contracts is equal to their notional values. In the case of written call (put) options and short futures contracts, the loss to the ETF continues to increase, without limit, as the fair value of the underlying interest increases (decreases). However, these instruments are generally used within the overall investment management process to manage the risk from the underlying investments and do not typically increase the overall risk of loss to the ETF. This risk is mitigated by ensuring that the ETF holds a combination of the underlying interest, cash cover and/or margin that is equal to or greater than the value of the derivative contract. Note 10 summarizes the ETF’s exposure, if applicable and significant, to other price risk.

vi. Credit risk

Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the ETF. Note 10 summarizes the ETF’s exposure, if applicable and significant, to credit risk.

All transactions in listed securities are executed with approved brokers. To minimize the possibility of settlement default, securities are exchanged for payment simultaneously, where market practices permit, through the facilities of a central depository and/or clearing agency where customary.

The carrying amount of investments and other assets represents the maximum credit risk exposure as at the date of the Statement of Financial Position.

The ETF may enter into securities lending transactions with counterparties and it may also be exposed to credit risk from the counterparties to the derivative instruments it may use. Credit risk associated with these transactions is considered minimal as all counterparties have a rating equivalent to a designated rating organization’s credit rating of not less than A-1 (low) on their short-term debt and of A on their long-term debt, as applicable.

vii. Underlying ETFs

The ETF may invest in underlying ETFs and may be indirectly exposed to currency risk, interest rate risk, other price risk and credit risk from fluctuations in the value of financial instruments held by the underlying ETFs. Note 10 summarizes the ETF’s exposure, if applicable and significant, to these risks from underlying ETF.





(a) ETF Formation and Series Information

Date of Formation June 25, 2019

The ETF may issue an unlimited number of units. The number of issued and outstanding units is disclosed in the Statement of Changes in Financial Position.

Series E units were listed on the TSX under the symbol QEBH on July 25, 2019. The closing market price, or the midpoint of the bid and ask prices in the absence of a closing market price, at March 31, 2020 was $85.07.

The management fee rate for Series E units is 0.45%.

As at March 31, 2020, the ETF’s NAV per unit was $86.18 and its Net Assets per unit calculated in accordance with IFRS was $86.19.

(b) Investments by Mackenzie and Affiliates

As at March 31, 2020, other funds managed by Mackenzie and I.G. Investment Management, Ltd. had an investment of $288,921 and $183,248, respectively, in the ETF.

(c) Loss Carryforwards

As at the last taxation year-end, there were no capital and non-capital losses available to carry forward for tax purposes.

(d) Securities Lending

As at March 31, 2020, the Fund did not have any open securities lending, repurchase or reverse repurchase transactions.

(e) Offsetting of Financial Assets and Liabilities

The table below presents financial assets and financial liabilities that are subject to master netting arrangements or other similar agreements and the net impact on the Fund’s Statements of Financial Position if all set-off rights were exercised as part of future events such as bankruptcy or termination of contracts. No amounts were offset in the financial statements.

March 31, 2020Gross amount of

assets/liabilities ($)Amount available

for offset ($) Margin ($) Net amount ($)

Unrealized gains on derivative contracts 7,449 (7,449) – –

Unrealized losses on derivative contracts (33,231) 7,449 – (25,782)

Liability for options written – – – –

Total (25,782) – – (25,782)

(f) Risks Associated with Financial Instruments

i. Risk exposure and management

The ETF seeks to replicate, to the extent reasonably possible and before fees and expenses, the performance of the Solactive EM USD Govt & Govt Related Bond Select CAD Hedged NTR Index or any successor thereto. It invests primarily in U.S. dollar-denominated, emerging market government bonds and government-related bonds. Foreign currency exposure is hedged back to the Canadian dollar.

10. ETF Specific Information (in ’000s, except for (a))





10. ETF Specific Information (in ’000s, except for (a)) (cont’d)

(f) Risks Associated with Financial Instruments (cont’d)

ii. Currency risk

The table below indicates currencies to which the ETF had significant exposure as at period end in Canadian dollar terms, including the underlying principal amount of any derivative instruments. Other financial assets and liabilities (including accrued interest and dividends receivable, and receivables/payables for investments sold/purchased) that are denominated in foreign currencies do not expose the ETF to significant currency risk.

March 31, 2020

Currency

Investments ($)

Cash and Short-Term

Investments ($)

Derivative Instruments

($)Net Exposure*

($)

U.S. dollar 467,703 (514) (475,994) (8,805)

Total 467,703 (514) (475,994) (8,805)

% of Net Assets 97.8 (0.1) (99.5) (1.8)

* Includes both monetary and non-monetary financial instrumentsAs at March 31, 2020, had the Canadian dollar increased or decreased by 5% relative to all foreign currencies, with all other variables held constant, net assets would have increased or decreased by approximately $440 or 0.1% of total net assets. In practice, the actual trading results may differ and the difference could be material.iii. Interest rate risk

The table below summarizes the ETF’s exposure to interest rate risks from its investments in bonds by term to maturity.

March 31, 2020Bonds ($)

Less than 1 year 8,057

1-5 years 147,316

5-10 years 153,281

Greater than 10 years 159,699

Total 468,353

As at March 31, 2020, had prevailing interest rates increased or decreased by 1%, assuming a parallel shift in the yield curve, with all other variables held constant, net assets would have decreased or increased by approximately $32,619 or 6.8% of total net assets. In

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MACENIE EMERGING MARETS BOND INDE ETF (CAD-HEDGED) · 2021. 1. 14. · Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are independent